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The Relationship between Price Indices and the Prices of Property Stocks

As the price level soars up, it become more important to study the dynamic relation between stock prices, price indices. In this paper we suspect that property stocks serve as tools of anti-inflation and examine whether there exists a positive correlation between the prices of property
stocks and price indices, such as the Rent Index, CPI, and WPI. Our results confirm the positive correlation between the prices of property stocks and the price indices. More precisely, it is revealed by applying VAR and the impulse response analysis that the positive correlation between the prices of property stocks and CPI/WPI in the short run.
Using the cointegration analysis, we detect the long-run relation between the prices of property stocks and the Rent Index.

Identiferoai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0814112-043159
Date14 August 2012
CreatorsHsu, Hua-wen
ContributorsYung-nian Tung, Chun-chieh Wang, Cheng-shan Liu
PublisherNSYSU
Source SetsNSYSU Electronic Thesis and Dissertation Archive
LanguageCholon
Detected LanguageEnglish
Typetext
Formatapplication/pdf
Sourcehttp://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0814112-043159
Rightsuser_define, Copyright information available at source archive

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